Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0504
Annualized Std Dev 0.2365
Annualized Sharpe (Rf=0%) -0.2132

Row

Daily Return Statistics

Close
Observations 5586.0000
NAs 1.0000
Minimum -0.1586
Quartile 1 -0.0049
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0050
Maximum 0.1926
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0149
Skewness -0.0932
Kurtosis 24.0156

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0120
Loss Deviation 0.0131
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.8740
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0366
Modified VaR (95%) -0.0178
Modified ES (95%) -0.0178
From Trough To Depth Length To Trough Recovery
1999-01-13 2008-11-21 NA -0.8740 5581 2480 NA
1999-01-08 1999-01-08 1999-01-11 -0.0072 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.7 0 1.5 0.8 2.3 0 0 3.3 0 4.5 -1.7 1.1 11.4
2000 1 2 1 4 1 0.9 0.9 1.8 -1 3.4 1.2 -1.7 15.2
2001 0 6 -1.1 0 1.6 1.7 6.2 1.1 -0.7 4.3 -0.5 2.7 23.1
2002 -2.1 -0.2 0 1.5 1.2 0 -0.2 6.9 4.6 3.8 4.9 3.8 26.6
2003 3.4 4.1 0.2 -0.6 2.5 1 0 0.5 2.2 -0.6 -2.1 0.6 11.7
2004 1 -3.5 1.4 -2.7 1.2 -0.7 0.4 -0.4 -0.6 1.6 -0.6 0.6 -2.5
2005 -1.2 1.2 0.9 1.1 2.5 -0.8 0.6 1.8 1.6 1.6 -0.7 1 9.9
2006 0.5 0 1.7 1 -1.3 1.6 0 0 -0.5 -0.5 -1 0 1.4
2007 -0.5 -1.5 -0.5 0.7 -1.2 0.5 -0.7 0.8 -0.3 -0.3 2.9 1.7 1.6
2008 -0.3 3 -1.4 1.6 1.4 0 1 -0.3 -1.2 5.3 -1.5 11.9 20.5
2009 1.2 -2.8 -2.4 0.9 0.7 1.4 -0.1 -0.2 -0.7 -2.1 1.3 0.7 -2.2
2010 1.6 0.9 1.1 0.3 -1 -1.5 0.6 -0.1 0.8 0.4 0.1 2.2 5.4
2011 0.9 -0.4 0.2 0.3 -0.4 -0.5 3.3 -0.2 -0.9 -0.7 0.2 0.4 2.2
2012 1.4 -0.2 0.2 -0.1 -0.8 0.2 0.8 -0.4 0.1 0.4 0.7 0.5 2.8
2013 0.4 0.6 0.2 0.2 -0.7 0.5 -0.2 0.6 0.3 -0.1 0.3 0.5 2.5
2014 -0.1 -0.2 0.5 -0.2 0.1 -0.2 -0.4 0.4 -0.3 0.2 -0.3 0.7 0.1
2015 0.1 0.1 -0.3 0.2 0.1 0.5 0.6 0 -0.5 0.7 0.9 -0.6 1.8
2016 -0.6 2.9 0.1 0.1 0.4 0.1 -0.1 0 0.4 -0.5 -0.2 0.1 2.8
2017 0.3 0.5 0.2 0.3 0.4 0.6 0.2 0.1 0.2 0.1 -0.2 0.1 2.9
2018 0.1 -0.1 0.6 0.4 0.5 0 0 -0.2 0 1.3 0.8 0.8 4.3
2019 0.3 0.6 0.8 0.2 -1.3 0.3 0.1 0.1 -0.3 0.1 0.2 0.5 1.6
2020 -0.6 -1.6 -4.5 -1 1.6 0.1 0.6 0.7 1 -0.5 0.9 -0.1 -3.6
2021 -0.5 2.1 0.4 NA NA NA NA NA NA NA NA NA 1.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart